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Yeah you can sort of emulate Windows under Linux and play, but the performance is terribly bad compared to the real thing.
that's right. it is going to be a pain in the ass to do so. also you can create a virtual machine (i like virtualbox) and create a windows inside that, but you will need a somewhat powerfull pc!
Yea, it's like a sandbox... I use it too... every time you reboot the virtual machine, you start with a clean OS.
I also use a boot disk on a old "cheap" computer I have... it has no harddrive {dumb terminal} and I save everything to external storage. {This is only used on this computer}
Every time you restart, you use a fresh installed OS. {It cancel out any nasty stuff, that might have been installed -- eg. Keyloggers etc}